Matrix-based numerical modelling of financial differential equations

DOI10.1504/IJMMNO.2009.030089zbMATH Open1183.91186MaRDI QIDQ2655890FDOQ2655890

Authors: Juho Kanniainen, Robert Piché 

Publication date: 26 January 2010

Published in: International Journal of Mathematical Modelling and Numerical Optimisation (Search for Journal in Brave)

Recommendations

• Numerical studies of differential equations related to theoretical financial markets
• Numerical methods for nonlinear PDEs in finance
• Numerical solution of stochastic differential equations in finance
• scientific article; zbMATH DE number 1070523
• Numerical approximation of multidimensional parabolic partial differential equations arising in financial mathematics
• scientific article
• scientific article; zbMATH DE number 2031584
• scientific article
• Finite volume schemes for solving nonlinear partial differential equations in financial mathematics

zbMATH Keywords

option pricingfinite differenceRunge-KuttaAmerican optionsmethod of linesdifferentiation matrixChebyshev spectral collocationoptimal shutdown

Mathematics Subject Classification ID

Numerical methods (including Monte Carlo methods) (91G60)

Cited In (9)

• Title not available (Why is that?)
• Parameter estimation and inference in dynamic systems described by linear partial differential equations
• Financial Applications of Symbolically Generated Compact Finite Difference Formulae
• NUMERICAL SOLUTION OF TWO-FACTOR MODELS FOR VALUATION OF FINANCIAL DERIVATIVES
• A simple equation solver and its application to financial modelling
• A pseudospectral approach to the McWhorter and Sunada equation for two-phase flow in porous media with capillary pressure
• From arteries to boreholes: transient response of a poroelastic cylinder to fluid injection
• Capillary processes increase salt precipitation during CO\(_2\) injection in saline formations
• Comparing algebraic and numerical solutions of classical diffusion process equations in computational financial mathematics

Uses Software

• Differentiation Matrix Suite

This page was built for publication: Matrix-based numerical modelling of financial differential equations

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2655890)